The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Essahbi Essaadi, Jamel Jouini () and Wajih Khallouli ()
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Jamel Jouini: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, UCAR - Université de Carthage (Tunisie)

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Abstract: In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron's (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.

Keywords: sequential selection procedure; shift-contagion; time-varying correlation (search for similar items in EconPapers)
Date: 2004-10
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00201220
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Citations: View citations in EconPapers (2)

Published in 2004

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Related works:
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2009)
Working Paper: The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis (2007)
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